SqlConnection conn = new SqlConnection(@"Data Source=192.168.0.1,1433;Network Library=DBMSSOCN;Initial Catalog=test;User ID=test;Password=test;");
String sqlquery = "SELECT orderid FROM Sales.Orders;";
            

            try
            {
                conn.Open();
                SqlCommand cmd = new SqlCommand(sqlquery, conn);
                SqlDataAdapter da = new SqlDataAdapter(cmd);
                DataSet ds = new DataSet();
                da.Fill(ds,"myTable");
                dataGridView1.DataSource = ds;
                dataGridView1.DataMember = "myTable"; 
   
            }
            catch (SqlException ex)
            {
                MessageBox.Show(ex.Message);
            }
            finally
            {                
                conn.Close();
            }

или забить в грид простой массив:

//...
try
            {
            
                string[] stuff = new string[] { "One", "Two", "Three" };                
                dataGridView1.DataSource = stuff;

            }
//...